@yuants/vendor-huobi 0.15.13 → 0.15.15

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (7) hide show
  1. package/dist/services/market-data/quote.js +4 -3
  2. package/dist/services/market-data/quote.js.map +1 -1
  3. package/lib/services/market-data/quote.d.ts.map +1 -1
  4. package/lib/services/market-data/quote.js +4 -3
  5. package/lib/services/market-data/quote.js.map +1 -1
  6. package/package.json +5 -5
  7. package/temp/package-deps.json +8 -8
package/dist/services/market-data/quote.js CHANGED
@@ -1,9 +1,11 @@
1
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  import { createCache } from '@yuants/cache';
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+ import { setMetricsQuoteState } from '@yuants/data-quote';
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  import { Terminal } from '@yuants/protocol';
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  import { escapeSQL, requestSQL, writeToSQL } from '@yuants/sql';
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  import { encodePath, formatTime } from '@yuants/utils';
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  import { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';
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  import { getSpotMarketTickers, getSwapBatchFundingRate, getSwapMarketBbo, getSwapMarketTrade, getSwapOpenInterest, } from '../../api/public-api';
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+ const terminal = Terminal.fromNodeEnv();
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  const swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(repeat({ delay: 1000 }), retry({ delay: 1000 }), shareReplay(1));
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  const quote1$ = swapBboTick$.pipe(mergeMap((res) => res.ticks || []), map((tick) => {
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  const [ask_price = '', ask_volume = ''] = tick.ask || [];
@@ -55,8 +57,8 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
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  .pipe(groupBy((x) => encodePath(x.datasource_id, x.product_id)), mergeMap((group$) => {
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  return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {}));
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  }))
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- .pipe(writeToSQL({
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- terminal: Terminal.fromNodeEnv(),
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+ .pipe(setMetricsQuoteState(terminal.terminal_id), writeToSQL({
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+ terminal,
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  tableName: 'quote',
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  writeInterval: 1000,
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  conflictKeys: ['datasource_id', 'product_id'],
@@ -64,7 +66,6 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
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  .subscribe();
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  }
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  const mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(mergeMap((res) => from(res.data).pipe(map((tick) => [tick.contract_code, tick]), toArray(), map((ticks) => Object.fromEntries(ticks)))), repeat({ delay: 1000 }), retry({ delay: 1000 }), shareReplay(1));
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- const terminal = Terminal.fromNodeEnv();
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  export const quoteCache = createCache(async (product_id) => {
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  const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;
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  console.info('QuoteSQL', sql);
package/dist/services/market-data/quote.js.map CHANGED
@@ -1 +1 @@
1
- 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{ createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL, writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport {\n getSpotMarketTickers,\n getSwapBatchFundingRate,\n getSwapMarketBbo,\n getSwapMarketTrade,\n getSwapOpenInterest,\n} from '../../api/public-api';\n\nconst swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapBboTick$.pipe(\n mergeMap((res) => res.ticks || []),\n map((tick): Partial<IQuote> => {\n const [ask_price = '', ask_volume = ''] = tick.ask || [];\n const [bid_price = '', bid_volume = ''] = tick.bid || [];\n return {\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n ask_price: `${ask_price}`,\n bid_price: `${bid_price}`,\n ask_volume: `${ask_volume}`,\n bid_volume: `${bid_volume}`,\n };\n }),\n);\n\nconst mapSwapContractCodeToBboTick$ = defer(() => swapBboTick$).pipe(\n mergeMap((res) =>\n from(res.ticks).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapTradeTick$ = defer(() => getSwapMarketTrade({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote2$ = swapTradeTick$.pipe(\n mergeMap((res) => res.tick?.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n last_price: `${tick.price}`,\n }),\n ),\n);\n\nconst quote5$ = defer(() => getSpotMarketTickers()).pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SPOT', tick.symbol),\n ask_price: `${tick.ask}`,\n bid_price: `${tick.bid}`,\n ask_volume: `${tick.askSize}`,\n bid_volume: `${tick.bidSize}`,\n last_price: `${tick.close}`,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst mapSwapContractCodeToTradeTick$ = defer(() => swapTradeTick$).pipe(\n mergeMap((res) =>\n from(res.tick.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\nconst swapFundingRateTick$ = defer(() => getSwapBatchFundingRate({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapFundingRateTick$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n interest_rate_long: `${-tick.funding_rate}`,\n interest_rate_short: `${tick.funding_rate}`,\n interest_rate_next_settled_at: formatTime(+tick.funding_time),\n }),\n ),\n);\n\nconst mapSwapContractCodeToFundingRateTick$ = defer(() => swapFundingRateTick$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapOpenInterest$ = defer(() => getSwapOpenInterest({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterest$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n open_interest: `${tick.volume}`,\n }),\n ),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n // 合并不同来源的数据并进行合并，避免死锁\n merge(quote1$, quote2$, quote3$, quote4$, quote5$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n )\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nconst mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst terminal = Terminal.fromNodeEnv();\n\nexport const quoteCache = createCache<IQuote>(\n async (product_id) => {\n const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n console.info('QuoteSQL', sql);\n const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n console.info('QuoteFetched', product_id, JSON.stringify(quote));\n return quote;\n },\n { expire: 10_000 },\n);\n\n// provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {\n// return defer(async () => {\n// const products = await firstValueFrom(perpetualContractProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n\n// return [\n// of(theProduct),\n// mapSwapContractCodeToBboTick$,\n// mapSwapContractCodeToTradeTick$,\n// mapSwapContractCodeToFundingRateTick$,\n// mapSwapContractCodeToOpenInterest$,\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, bboTick, tradeTick, fundingRateTick, openInterest]): ITick => {\n// return {\n// datasource_id: 'HUOBI-SWAP',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRateTick[product_id].funding_time,\n// price: +tradeTick[product_id].price,\n// ask: bboTick[product_id].ask?.[0] ?? undefined,\n// bid: bboTick[product_id].bid?.[0] ?? undefined,\n// volume: +tradeTick[product_id].amount,\n// interest_rate_for_long: -+fundingRateTick[product_id].funding_rate,\n// interest_rate_for_short: +fundingRateTick[product_id].funding_rate,\n// open_interest: +openInterest[product_id]?.volume,\n// };\n// }),\n// ),\n// ),\n// );\n// });\n"]}
1
+ 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{ createCache } from '@yuants/cache';\nimport { IQuote, setMetricsQuoteState } from '@yuants/data-quote';\nimport { GlobalPrometheusRegistry, Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL, writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport {\n getSpotMarketTickers,\n getSwapBatchFundingRate,\n getSwapMarketBbo,\n getSwapMarketTrade,\n getSwapOpenInterest,\n} from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapBboTick$.pipe(\n mergeMap((res) => res.ticks || []),\n map((tick): Partial<IQuote> => {\n const [ask_price = '', ask_volume = ''] = tick.ask || [];\n const [bid_price = '', bid_volume = ''] = tick.bid || [];\n return {\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n ask_price: `${ask_price}`,\n bid_price: `${bid_price}`,\n ask_volume: `${ask_volume}`,\n bid_volume: `${bid_volume}`,\n };\n }),\n);\n\nconst mapSwapContractCodeToBboTick$ = defer(() => swapBboTick$).pipe(\n mergeMap((res) =>\n from(res.ticks).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapTradeTick$ = defer(() => getSwapMarketTrade({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote2$ = swapTradeTick$.pipe(\n mergeMap((res) => res.tick?.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n last_price: `${tick.price}`,\n }),\n ),\n);\n\nconst quote5$ = defer(() => getSpotMarketTickers()).pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SPOT', tick.symbol),\n ask_price: `${tick.ask}`,\n bid_price: `${tick.bid}`,\n ask_volume: `${tick.askSize}`,\n bid_volume: `${tick.bidSize}`,\n last_price: `${tick.close}`,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst mapSwapContractCodeToTradeTick$ = defer(() => swapTradeTick$).pipe(\n mergeMap((res) =>\n from(res.tick.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\nconst swapFundingRateTick$ = defer(() => getSwapBatchFundingRate({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapFundingRateTick$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n interest_rate_long: `${-tick.funding_rate}`,\n interest_rate_short: `${tick.funding_rate}`,\n interest_rate_next_settled_at: formatTime(+tick.funding_time),\n }),\n ),\n);\n\nconst mapSwapContractCodeToFundingRateTick$ = defer(() => swapFundingRateTick$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapOpenInterest$ = defer(() => getSwapOpenInterest({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterest$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n open_interest: `${tick.volume}`,\n }),\n ),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n // 合并不同来源的数据并进行合并，避免死锁\n merge(quote1$, quote2$, quote3$, quote4$, quote5$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n )\n .pipe(\n setMetricsQuoteState(terminal.terminal_id),\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nconst mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nexport const quoteCache = createCache<IQuote>(\n async (product_id) => {\n const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n console.info('QuoteSQL', sql);\n const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n console.info('QuoteFetched', product_id, JSON.stringify(quote));\n return quote;\n },\n { expire: 10_000 },\n);\n\n// provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {\n// return defer(async () => {\n// const products = await firstValueFrom(perpetualContractProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n\n// return [\n// of(theProduct),\n// mapSwapContractCodeToBboTick$,\n// mapSwapContractCodeToTradeTick$,\n// mapSwapContractCodeToFundingRateTick$,\n// mapSwapContractCodeToOpenInterest$,\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, bboTick, tradeTick, fundingRateTick, openInterest]): ITick => {\n// return {\n// datasource_id: 'HUOBI-SWAP',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRateTick[product_id].funding_time,\n// price: +tradeTick[product_id].price,\n// ask: bboTick[product_id].ask?.[0] ?? undefined,\n// bid: bboTick[product_id].bid?.[0] ?? undefined,\n// volume: +tradeTick[product_id].amount,\n// interest_rate_for_long: -+fundingRateTick[product_id].funding_rate,\n// interest_rate_for_short: +fundingRateTick[product_id].funding_rate,\n// open_interest: +openInterest[product_id]?.volume,\n// };\n// }),\n// ),\n// ),\n// );\n// });\n"]}
package/lib/services/market-data/quote.d.ts.map CHANGED
@@ -1 +1 @@
1
- {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../../../src/services/market-data/quote.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAuL5C,eAAO,MAAM,UAAU,wCAStB,CAAC"}
1
+ {"version":3,"file":"quote.d.ts","sourceRoot":"","sources":["../../../src/services/market-data/quote.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,MAAM,EAAwB,MAAM,oBAAoB,CAAC;AAwLlE,eAAO,MAAM,UAAU,wCAStB,CAAC"}
package/lib/services/market-data/quote.js CHANGED
@@ -2,11 +2,13 @@
2
2
  Object.defineProperty(exports, "__esModule", { value: true });
3
3
  exports.quoteCache = void 0;
4
4
  const cache_1 = require("@yuants/cache");
5
+ const data_quote_1 = require("@yuants/data-quote");
5
6
  const protocol_1 = require("@yuants/protocol");
6
7
  const sql_1 = require("@yuants/sql");
7
8
  const utils_1 = require("@yuants/utils");
8
9
  const rxjs_1 = require("rxjs");
9
10
  const public_api_1 = require("../../api/public-api");
11
+ const terminal = protocol_1.Terminal.fromNodeEnv();
10
12
  const swapBboTick$ = (0, rxjs_1.defer)(() => (0, public_api_1.getSwapMarketBbo)({})).pipe((0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }), (0, rxjs_1.shareReplay)(1));
11
13
  const quote1$ = swapBboTick$.pipe((0, rxjs_1.mergeMap)((res) => res.ticks || []), (0, rxjs_1.map)((tick) => {
12
14
  const [ask_price = '', ask_volume = ''] = tick.ask || [];
@@ -58,8 +60,8 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
58
60
  .pipe((0, rxjs_1.groupBy)((x) => (0, utils_1.encodePath)(x.datasource_id, x.product_id)), (0, rxjs_1.mergeMap)((group$) => {
59
61
  return group$.pipe((0, rxjs_1.scan)((acc, cur) => Object.assign(acc, cur), {}));
60
62
  }))
61
- .pipe((0, sql_1.writeToSQL)({
62
- terminal: protocol_1.Terminal.fromNodeEnv(),
63
+ .pipe((0, data_quote_1.setMetricsQuoteState)(terminal.terminal_id), (0, sql_1.writeToSQL)({
64
+ terminal,
63
65
  tableName: 'quote',
64
66
  writeInterval: 1000,
65
67
  conflictKeys: ['datasource_id', 'product_id'],
@@ -67,7 +69,6 @@ if (process.env.WRITE_QUOTE_TO_SQL === 'true') {
67
69
  .subscribe();
68
70
  }
69
71
  const mapSwapContractCodeToOpenInterest$ = (0, rxjs_1.defer)(() => swapOpenInterest$).pipe((0, rxjs_1.mergeMap)((res) => (0, rxjs_1.from)(res.data).pipe((0, rxjs_1.map)((tick) => [tick.contract_code, tick]), (0, rxjs_1.toArray)(), (0, rxjs_1.map)((ticks) => Object.fromEntries(ticks)))), (0, rxjs_1.repeat)({ delay: 1000 }), (0, rxjs_1.retry)({ delay: 1000 }), (0, rxjs_1.shareReplay)(1));
70
- const terminal = protocol_1.Terminal.fromNodeEnv();
71
72
  exports.quoteCache = (0, cache_1.createCache)(async (product_id) => {
72
73
  const sql = `select * from quote where product_id = ${(0, sql_1.escapeSQL)(product_id)}`;
73
74
  console.info('QuoteSQL', sql);
package/lib/services/market-data/quote.js.map CHANGED
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{ createCache } from '@yuants/cache';\nimport { IQuote } from '@yuants/data-quote';\nimport { Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL, writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport {\n getSpotMarketTickers,\n getSwapBatchFundingRate,\n getSwapMarketBbo,\n getSwapMarketTrade,\n getSwapOpenInterest,\n} from '../../api/public-api';\n\nconst swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapBboTick$.pipe(\n mergeMap((res) => res.ticks || []),\n map((tick): Partial<IQuote> => {\n const [ask_price = '', ask_volume = ''] = tick.ask || [];\n const [bid_price = '', bid_volume = ''] = tick.bid || [];\n return {\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n ask_price: `${ask_price}`,\n bid_price: `${bid_price}`,\n ask_volume: `${ask_volume}`,\n bid_volume: `${bid_volume}`,\n };\n }),\n);\n\nconst mapSwapContractCodeToBboTick$ = defer(() => swapBboTick$).pipe(\n mergeMap((res) =>\n from(res.ticks).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapTradeTick$ = defer(() => getSwapMarketTrade({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote2$ = swapTradeTick$.pipe(\n mergeMap((res) => res.tick?.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n last_price: `${tick.price}`,\n }),\n ),\n);\n\nconst quote5$ = defer(() => getSpotMarketTickers()).pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SPOT', tick.symbol),\n ask_price: `${tick.ask}`,\n bid_price: `${tick.bid}`,\n ask_volume: `${tick.askSize}`,\n bid_volume: `${tick.bidSize}`,\n last_price: `${tick.close}`,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst mapSwapContractCodeToTradeTick$ = defer(() => swapTradeTick$).pipe(\n mergeMap((res) =>\n from(res.tick.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\nconst swapFundingRateTick$ = defer(() => getSwapBatchFundingRate({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapFundingRateTick$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n interest_rate_long: `${-tick.funding_rate}`,\n interest_rate_short: `${tick.funding_rate}`,\n interest_rate_next_settled_at: formatTime(+tick.funding_time),\n }),\n ),\n);\n\nconst mapSwapContractCodeToFundingRateTick$ = defer(() => swapFundingRateTick$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapOpenInterest$ = defer(() => getSwapOpenInterest({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterest$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n open_interest: `${tick.volume}`,\n }),\n ),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n // 合并不同来源的数据并进行合并，避免死锁\n merge(quote1$, quote2$, quote3$, quote4$, quote5$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n )\n .pipe(\n writeToSQL({\n terminal: Terminal.fromNodeEnv(),\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nconst mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst terminal = Terminal.fromNodeEnv();\n\nexport const quoteCache = createCache<IQuote>(\n async (product_id) => {\n const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n console.info('QuoteSQL', sql);\n const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n console.info('QuoteFetched', product_id, JSON.stringify(quote));\n return quote;\n },\n { expire: 10_000 },\n);\n\n// provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {\n// return defer(async () => {\n// const products = await firstValueFrom(perpetualContractProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n\n// return [\n// of(theProduct),\n// mapSwapContractCodeToBboTick$,\n// mapSwapContractCodeToTradeTick$,\n// mapSwapContractCodeToFundingRateTick$,\n// mapSwapContractCodeToOpenInterest$,\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, bboTick, tradeTick, fundingRateTick, openInterest]): ITick => {\n// return {\n// datasource_id: 'HUOBI-SWAP',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRateTick[product_id].funding_time,\n// price: +tradeTick[product_id].price,\n// ask: bboTick[product_id].ask?.[0] ?? undefined,\n// bid: bboTick[product_id].bid?.[0] ?? undefined,\n// volume: +tradeTick[product_id].amount,\n// interest_rate_for_long: -+fundingRateTick[product_id].funding_rate,\n// interest_rate_for_short: +fundingRateTick[product_id].funding_rate,\n// open_interest: +openInterest[product_id]?.volume,\n// };\n// }),\n// ),\n// ),\n// );\n// });\n"]}
1
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{ createCache } from '@yuants/cache';\nimport { IQuote, setMetricsQuoteState } from '@yuants/data-quote';\nimport { GlobalPrometheusRegistry, Terminal } from '@yuants/protocol';\nimport { escapeSQL, requestSQL, writeToSQL } from '@yuants/sql';\nimport { encodePath, formatTime } from '@yuants/utils';\nimport { defer, from, groupBy, map, merge, mergeMap, repeat, retry, scan, shareReplay, toArray } from 'rxjs';\nimport {\n getSpotMarketTickers,\n getSwapBatchFundingRate,\n getSwapMarketBbo,\n getSwapMarketTrade,\n getSwapOpenInterest,\n} from '../../api/public-api';\n\nconst terminal = Terminal.fromNodeEnv();\n\nconst swapBboTick$ = defer(() => getSwapMarketBbo({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote1$ = swapBboTick$.pipe(\n mergeMap((res) => res.ticks || []),\n map((tick): Partial<IQuote> => {\n const [ask_price = '', ask_volume = ''] = tick.ask || [];\n const [bid_price = '', bid_volume = ''] = tick.bid || [];\n return {\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n ask_price: `${ask_price}`,\n bid_price: `${bid_price}`,\n ask_volume: `${ask_volume}`,\n bid_volume: `${bid_volume}`,\n };\n }),\n);\n\nconst mapSwapContractCodeToBboTick$ = defer(() => swapBboTick$).pipe(\n mergeMap((res) =>\n from(res.ticks).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapTradeTick$ = defer(() => getSwapMarketTrade({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote2$ = swapTradeTick$.pipe(\n mergeMap((res) => res.tick?.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n last_price: `${tick.price}`,\n }),\n ),\n);\n\nconst quote5$ = defer(() => getSpotMarketTickers()).pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SPOT', tick.symbol),\n ask_price: `${tick.ask}`,\n bid_price: `${tick.bid}`,\n ask_volume: `${tick.askSize}`,\n bid_volume: `${tick.bidSize}`,\n last_price: `${tick.close}`,\n }),\n ),\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst mapSwapContractCodeToTradeTick$ = defer(() => swapTradeTick$).pipe(\n mergeMap((res) =>\n from(res.tick.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\nconst swapFundingRateTick$ = defer(() => getSwapBatchFundingRate({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote3$ = swapFundingRateTick$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n interest_rate_long: `${-tick.funding_rate}`,\n interest_rate_short: `${tick.funding_rate}`,\n interest_rate_next_settled_at: formatTime(+tick.funding_time),\n }),\n ),\n);\n\nconst mapSwapContractCodeToFundingRateTick$ = defer(() => swapFundingRateTick$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst swapOpenInterest$ = defer(() => getSwapOpenInterest({})).pipe(\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nconst quote4$ = swapOpenInterest$.pipe(\n mergeMap((res) => res.data || []),\n map(\n (tick): Partial<IQuote> => ({\n datasource_id: 'HTX',\n product_id: encodePath('HTX', 'SWAP', tick.contract_code),\n open_interest: `${tick.volume}`,\n }),\n ),\n);\n\nif (process.env.WRITE_QUOTE_TO_SQL === 'true') {\n // 合并不同来源的数据并进行合并，避免死锁\n merge(quote1$, quote2$, quote3$, quote4$, quote5$)\n .pipe(\n groupBy((x) => encodePath(x.datasource_id, x.product_id)),\n mergeMap((group$) => {\n return group$.pipe(scan((acc, cur) => Object.assign(acc, cur), {} as Partial<IQuote>));\n }),\n )\n .pipe(\n setMetricsQuoteState(terminal.terminal_id),\n writeToSQL({\n terminal,\n tableName: 'quote',\n writeInterval: 1000,\n conflictKeys: ['datasource_id', 'product_id'],\n }),\n )\n .subscribe();\n}\n\nconst mapSwapContractCodeToOpenInterest$ = defer(() => swapOpenInterest$).pipe(\n mergeMap((res) =>\n from(res.data).pipe(\n map((tick) => [tick.contract_code, tick] as const),\n toArray(),\n map((ticks) => Object.fromEntries(ticks)),\n ),\n ),\n\n repeat({ delay: 1000 }),\n retry({ delay: 1000 }),\n shareReplay(1),\n);\n\nexport const quoteCache = createCache<IQuote>(\n async (product_id) => {\n const sql = `select * from quote where product_id = ${escapeSQL(product_id)}`;\n console.info('QuoteSQL', sql);\n const [quote] = await requestSQL<IQuote[]>(terminal, sql);\n console.info('QuoteFetched', product_id, JSON.stringify(quote));\n return quote;\n },\n { expire: 10_000 },\n);\n\n// provideTicks(Terminal.fromNodeEnv(), 'HUOBI-SWAP', (product_id) => {\n// return defer(async () => {\n// const products = await firstValueFrom(perpetualContractProducts$);\n// const theProduct = products.find((x) => x.product_id === product_id);\n// if (!theProduct) throw `No Found ProductID ${product_id}`;\n\n// return [\n// of(theProduct),\n// mapSwapContractCodeToBboTick$,\n// mapSwapContractCodeToTradeTick$,\n// mapSwapContractCodeToFundingRateTick$,\n// mapSwapContractCodeToOpenInterest$,\n// ] as const;\n// }).pipe(\n// catchError(() => EMPTY),\n// mergeMap((x) =>\n// combineLatest(x).pipe(\n// map(([theProduct, bboTick, tradeTick, fundingRateTick, openInterest]): ITick => {\n// return {\n// datasource_id: 'HUOBI-SWAP',\n// product_id,\n// updated_at: Date.now(),\n// settlement_scheduled_at: +fundingRateTick[product_id].funding_time,\n// price: +tradeTick[product_id].price,\n// ask: bboTick[product_id].ask?.[0] ?? undefined,\n// bid: bboTick[product_id].bid?.[0] ?? undefined,\n// volume: +tradeTick[product_id].amount,\n// interest_rate_for_long: -+fundingRateTick[product_id].funding_rate,\n// interest_rate_for_short: +fundingRateTick[product_id].funding_rate,\n// open_interest: +openInterest[product_id]?.volume,\n// };\n// }),\n// ),\n// ),\n// );\n// });\n"]}
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@yuants/vendor-huobi",
3
- "version": "0.15.13",
3
+ "version": "0.15.15",
4
4
  "main": "lib/index.js",
5
5
  "files": [
6
6
  "dist",
@@ -9,8 +9,8 @@
9
9
  ],
10
10
  "dependencies": {
11
11
  "@yuants/protocol": "0.53.2",
12
- "@yuants/data-account": "0.10.0",
13
- "@yuants/data-order": "0.6.6",
12
+ "@yuants/data-account": "0.10.1",
13
+ "@yuants/data-order": "0.7.0",
14
14
  "@yuants/transfer": "0.2.39",
15
15
  "@yuants/utils": "0.14.0",
16
16
  "@yuants/cache": "0.3.3",
@@ -18,8 +18,8 @@
18
18
  "@yuants/data-product": "0.5.0",
19
19
  "@yuants/data-series": "0.3.52",
20
20
  "@yuants/data-interest-rate": "0.1.48",
21
- "@yuants/data-quote": "0.2.43",
22
- "@yuants/exchange": "0.5.0",
21
+ "@yuants/data-quote": "0.3.0",
22
+ "@yuants/exchange": "0.5.2",
23
23
  "rxjs": "~7.5.6"
24
24
  },
25
25
  "devDependencies": {
package/temp/package-deps.json CHANGED
@@ -1,13 +1,13 @@
1
1
  {
2
- "apps/vendor-huobi/CHANGELOG.json": "8996529ab2164def1100dab25d57b287da2aefcd",
3
- "apps/vendor-huobi/CHANGELOG.md": "f5c75e096b45db2b942664841cd0a9ea7303cbaa",
2
+ "apps/vendor-huobi/CHANGELOG.json": "100b4a6c97af6b16ec8b55a69e9937cb7d7f1260",
3
+ "apps/vendor-huobi/CHANGELOG.md": "05328c7f58a9cdfc2cf58e688431beb25570ee90",
4
4
  "apps/vendor-huobi/README.md": "d7bf0149513114eab5500a6b5c9e7cba10565572",
5
5
  "apps/vendor-huobi/api-extractor.json": "62f4fd324425b9a235f0c117975967aab09ced0c",
6
6
  "apps/vendor-huobi/config/jest.config.json": "4bb17bde3ee911163a3edb36a6eb71491d80b1bd",
7
7
  "apps/vendor-huobi/config/rig.json": "f6c7b5537dc77a3170ba9f008bae3b6c3ee11956",
8
8
  "apps/vendor-huobi/config/typescript.json": "854907e8a821f2050f6533368db160c649c25348",
9
9
  "apps/vendor-huobi/etc/vendor-huobi.api.md": "dc8cbf2a044a227b30a4ee9701b0c97328244724",
10
- "apps/vendor-huobi/package.json": "8a841cecac26a8f1027ae0398f4438ca4c06cf14",
10
+ "apps/vendor-huobi/package.json": "c1f91e1e2c2501ce51123e670d5ba981eabaad0f",
11
11
  "apps/vendor-huobi/src/__archived/account-info.ts": "5c325d3bb8839476c11f25693326ce05f3321ebd",
12
12
  "apps/vendor-huobi/src/__archived/api.ts": "8366151dc881b177d0478fb328a601a11e33cd35",
13
13
  "apps/vendor-huobi/src/__archived/transfer.ts": "fd299ad82ff31344460967f2a938b8f36c879259",
@@ -19,7 +19,7 @@
19
19
  "apps/vendor-huobi/src/services/accounts/swap.ts": "91ef044f09ed3dddd7b0d32116a16c78f74ba9be",
20
20
  "apps/vendor-huobi/src/services/exchange.ts": "6fed94206a22c43d3c6890cf52ff054a24d98d82",
21
21
  "apps/vendor-huobi/src/services/market-data/interest_rate.ts": "79aa362f9fa90e612f9813d0b45d357b96189f3e",
22
- "apps/vendor-huobi/src/services/market-data/quote.ts": "254f73d682ea7b9ac3300808e98db89c7935a0a9",
22
+ "apps/vendor-huobi/src/services/market-data/quote.ts": "2f5883a95b11cf19c1a9a595567f9369b360cccf",
23
23
  "apps/vendor-huobi/src/services/orders/listOrders.ts": "1cf4621727fb290f8e5fd1439765fd73387bda7a",
24
24
  "apps/vendor-huobi/src/services/orders/submitOrder.ts": "876e70b541246b5fb5b50957880a6ae17179cf0b",
25
25
  "apps/vendor-huobi/src/services/product.ts": "096feb6e1348910242e814ca45848afa3b5bff98",
@@ -27,8 +27,8 @@
27
27
  "apps/vendor-huobi/tsconfig.json": "81da8f78196974b5d15da0edb6b2d9f48641063c",
28
28
  "apps/vendor-huobi/.rush/temp/shrinkwrap-deps.json": "3099afcf246e8bc9ff02db11dd7b34b8bd1e72d9",
29
29
  "libraries/protocol/temp/package-deps.json": "0bd43721e96039b52d7b59c834dc6df45cf75e3f",
30
- "libraries/data-account/temp/package-deps.json": "3ee766acef866410612b60dfc1012082c9c24556",
31
- "libraries/data-order/temp/package-deps.json": "2adac9fc0423f9b1b7ddaa8946ab7af374cc22e1",
30
+ "libraries/data-account/temp/package-deps.json": "e6ba0067a1b68f17266564f15987936ab2672eb9",
31
+ "libraries/data-order/temp/package-deps.json": "ccdc9819f254f37a3591bb37876a86c703df33a6",
32
32
  "libraries/transfer/temp/package-deps.json": "36c58299bd6c841c5ba7252d71881a881570d08c",
33
33
  "libraries/utils/temp/package-deps.json": "6d58e9b325e8d16de8a878c32010f626b12a01da",
34
34
  "libraries/cache/temp/package-deps.json": "a4afa15e6462983f9d3735d31dc1ed8a683fb4dc",
@@ -36,8 +36,8 @@
36
36
  "libraries/data-product/temp/package-deps.json": "a03f08f30800d5fb52c5d019bda4f8e7ec04e344",
37
37
  "libraries/data-series/temp/package-deps.json": "e12b4c97d2b8c8b21d1a033cdd3683e01f81401a",
38
38
  "libraries/data-interest-rate/temp/package-deps.json": "cef1e1cb0116ad593c24635684e0cbf03488d67c",
39
- "libraries/data-quote/temp/package-deps.json": "34d079eab44d2bf65e07b112ac2099c6e92a015e",
40
- "libraries/exchange/temp/package-deps.json": "d40288d0530bc7e63246f234bdffa10a497776b1",
39
+ "libraries/data-quote/temp/package-deps.json": "d5fd89abda84b46f6c14925eda0c381c36b94dfe",
40
+ "libraries/exchange/temp/package-deps.json": "35e755087dec12d39822dda2dccf2f9d895eefad",
41
41
  "libraries/extension/temp/package-deps.json": "9569c553c2f9a7d50b70d8f101fc2d3825aaccb9",
42
42
  "tools/toolkit/temp/package-deps.json": "23e053490eb8feade23e4d45de4e54883e322711"
43
43
  }